3 papers
q-fin.RM2026
Risk-Based Auto-Deleveraging
Steven Campbell, Natascha Hey, Ciamac C. Moallemi +1
Auto-deleveraging (ADL) mechanisms are a critical yet understudied component of risk management on cryptocurrency futures exchanges. When available margin and other loss-absorbing…
q-fin.TR2025
Nonparametric Estimation of Self- and Cross-Impact
Natascha Hey, Eyal Neuman, Sturmius Tuschmann
We introduce an offline nonparametric estimator for concave multi-asset propagator models based on a dataset of correlated price trajectories and metaorders. Compared to parametric…
q-fin.TR2023
The Cost of Misspecifying Price Impact
Natascha Hey, Jean-Philippe Bouchaud, Iacopo Mastromatteo +2
Portfolio managers' orders trade off return and trading cost predictions. Return predictions rely on alpha models, whereas price impact models quantify trading costs. This paper st…